CNP Options History — August 2021

In August 2021, CNP traded between $25.09 and $26.85. ATM implied volatility averaged 24.0%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.7% (HV 20d: 17.3%). Max pain ranged from $24.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2021-08-17: Highest Volume — 11,342 contracts
  • 2021-08-25: Largest IV spike — 30.0% change
  • 2021-08-05: Highest IV Rank — 26.1%
  • 2021-08-04: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.13$25.09$26.85$25.64$25.09
Max Pain$24.93$24.50$25.00$24.50$25.00
ATM IV24.0%18.2%34.1%28.4%21.3%
Expected Move6.6%5.5%8.8%8.6%5.8%
HV 20d17.3%11.9%21.7%20.6%16.6%
HV 60d17.3%16.1%19.4%19.3%17.3%
IV Rank9.0%0.0%26.1%15.8%5.4%
IV Percentile20.3%0.0%71.0%38.9%7.9%
Term Structure-0.4%-11.2%11.9%-2.2%0.6%
VWIV22.8%19.2%31.7%30.9%20.1%
Skew 25d1.0%-11.3%4.8%3.3%3.5%
Skew 10d7.1%-6.0%27.4%-2.5%5.2%
Call IV 25d23.3%17.0%44.1%27.7%17.0%
Put IV 25d24.4%13.6%32.8%31.0%20.6%
Bid-Ask Spread %45.1717.0785.2966.0054.94
Gamma HHI0.280.150.470.250.20
Net GEX4.5M12.7K10.9M3.5M12.7K
Net DEX-33.6M-66.7M-2.6M-31.6M-2.6M
Net VEX-95.9K-131.1K-69.3K-127.7K-80.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.006.711.551.96
Total Volume1,843.86414411,342861379
Total OI48,181.77319,17465,02556,50322,939

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$25.64$24.5028.4%8.6%20.6%15.8%30.9%3.3%-2.2%3.5M-31.6M-127.7K1.5566.00N/AN/A33752443,80812,695
2021-08-03$25.81$24.5029.2%8.8%20.7%17.2%31.7%-11.3%-1.8%3.9M-35.3M-131.1K0.1474.17N/AN/A93913245,08313,126
2021-08-04$25.66$24.5027.8%8.8%20.7%14.6%28.9%2.0%-2.3%3.7M-30.1M-125.9K0.6785.29N/AN/A1328845,36013,561
2021-08-05$26.16$25.0034.1%6.8%21.6%26.1%23.2%4.0%-8.8%5.5M-44.2M-126.8K0.0777.04N/AN/A8256146,17013,672
2021-08-06$26.44$25.0028.4%7.2%21.7%15.8%25.1%-2.1%-2.4%6.2M-54.2M-124.9K0.0960.28N/AN/A2,97526746,20713,749
2021-08-09$26.51$25.0024.9%6.7%21.2%9.4%23.4%2.1%0.7%7.3M-54.2M-108.7K6.7154.04N/AN/A9176,15745,83912,739
2021-08-10$26.63$25.0026.7%6.5%19.7%12.6%23.1%2.8%1.5%8.2M-60.5M-107.8K1.6818.01N/AN/A57897048,11212,965
2021-08-11$26.80$25.0020.8%6.4%19.7%2.1%22.7%2.8%1.2%9.7M-66.7M-100.1K2.0139.67N/AN/A28056448,82314,549
2021-08-12$26.71$25.0021.3%6.3%19.1%2.9%22.0%-1.6%-1.6%9.1M-63.5M-102.0K0.0828.47N/AN/A1,1669548,98315,237
2021-08-13$26.85$25.0018.7%5.5%18.6%0.0%21.2%-6.9%-1.5%10.0M-66.1M-97.3K0.7750.32N/AN/A55943349,10515,610
2021-08-16$26.84$25.0021.7%6.2%13.0%5.4%21.8%-0.4%0.8%10.5M-62.1M-86.0K0.0327.71N/AN/A1,7844948,23415,227
2021-08-17$26.70$25.0022.1%6.4%11.9%6.1%20.5%2.4%2.5%10.9M-55.5M-81.1K0.0027.60N/AN/A11,2885448,69315,655
2021-08-18$26.39$25.0022.3%6.4%12.8%6.5%20.7%2.0%-1.6%8.9M-47.6M-83.9K0.5037.75N/AN/A77839249,31715,708
2021-08-19$25.95$25.0024.8%6.7%14.2%10.9%23.6%0.8%11.9%128.9K-11.3M-71.2K1.2246.26N/AN/A47257537,59615,814
2021-08-20$26.30$25.0021.9%6.3%14.6%5.7%22.0%1.3%-0.5%360.8K-13.7M-70.1K1.3346.68N/AN/A1,3171,75038,22916,182
2021-08-23$26.26$25.0018.2%5.9%14.6%0.0%19.7%1.8%1.9%424.6K-9.8M-69.3K0.5030.69N/AN/A58129310,6848,490
2021-08-24$25.85$25.0022.1%5.9%15.5%6.8%20.4%1.3%1.1%320.2K-7.6M-82.2K3.8417.07N/AN/A16563411,7959,377
2021-08-25$25.80$25.0028.7%6.0%15.5%18.5%20.9%3.5%-11.2%321.7K-7.3M-83.3K0.1632.22N/AN/A90214612,2869,595
2021-08-26$25.37$25.0021.4%5.9%16.5%5.6%21.3%3.5%0.8%102.3K-4.1M-83.5K1.4924.47N/AN/A18727912,41610,173
2021-08-27$25.63$25.0020.9%5.5%16.2%4.8%19.2%4.8%0.9%410.9K-6.5M-84.5K0.3857.08N/AN/A28711013,28610,304
2021-08-30$25.41$25.0021.8%5.6%16.3%6.3%19.4%2.5%-0.0%308.2K-5.5M-82.2K0.1037.90N/AN/A1311312,49510,111
2021-08-31$25.09$25.0021.3%5.8%16.6%5.4%20.1%3.5%0.6%12.7K-2.6M-80.2K1.9654.94N/AN/A12825112,73410,205